MT GLOBAL MARKETS Momentum Weekly recap wk22 as of 31May19 - PFLUGPOST end-of-month thread 1/n

• RISKOFF wk
• MONSTER MOVE IN BONDS
• US stocks BREADTH collapsing
• "sell-in-May-wut"?
• Mexico "La Ola"
• all on top after US flash M.PMI 50.6, China & Japan <50....

2/n update Global Markets M/M sorted

• "Sell in May and ..." Risk Off month as vast majority of stocks and sectors sold off, JPY, Bonds, Gold, Defensive names clear outperformer, Creditspreads wider, energies tanked, some crop surged after massive flood (more to this later)

3/n update Global Markets YTD sorted

• as everyone knew, the earlier Q1 annualised YTD performance given the still deteriorating Global Macro outlook never had a chance to be sustainable.... but Tariff talks, seasonality, new Brexit uncertainty added pressure.

4/n update Global Markets YoY

• perhaps through the Global Macro lenses (M.PMI Y/Y) it is bit more clear... stocks in general underperformed, SPX zilsch, same for industrial metals, energies.
• <The> outperformer = Bonds, some defensive sectors

5/n update Global Markets Overview

6/n update Global Markets Momentum / Trends / Exhaustion

• weak stocks momentum increased last week, some trends also being confirmed to the downside
• The mega bond rally ended up in some overheated situation (more later)
• Creditspreads kept widening

7/n update Global 10Y Govt Bond heatmap

• absolute monster performance in the existing trend , extra boost after US M.PMI flash disaster and of course "Mexican Stand-Off" or "La-Ola" , Italian debt woes, new uncertainty about Brexit. And China. And just everything

8/n update Global Govt Yields 2Y 10Y curve FX

• massive flight to safe haven
• massive bull flattening in weak Macro Europe
• massive recession fear

9/n update Global FX matrix

• obviously MXN got hammered after Trump tariff increase
• TRY massive RiskOn (credits, bonds, stocks, FX) after, yes, Trump too
• RUB, NOK, CAD declined with tanking Oil
• JPY safe haven bid

10/n update US Credit spreads charts (inverted scales)

• Risk Off continued and Spread-widening theme re-established

11/n update RiskOnOff monitors

• RiskOff momentum continued in most of those spread / ratios in the overall down trend

12/n update on the big picture US swap curves as a forward looking cycle guidance

• 5s30s keep marching ahead, reversed long time ago and re-steepening
• SPX back to near flat-line YoY... as a starter

13/n FedFunds vs 2Y ... front end is totally collapsing and FOMC is miles behind the curve

14/n FOMC for the March "dot-plot" update turned dovish, but already behind the curve, now, 1000 miles behind....

• Rates guys are pricing in 100% 1x if not 2x 25bp cuts in 2019

15/n USD 3M FRAs are totally collapsing

16/n USD 3M FRAs (shifted) vs Fed Funds upper target and vs Unemployment Rate

• "this is fine " !

17/n here the recent MONSTER MOVE in US Rates / Bond Futures

• despite the correct theme, THIS looks overdone

18/n in context to weak Global Macro, new tariff theme, massive flight to save haven: have a look into US stocks BREADTH

• broad market NYA

19/n US stocks "breadth" OEX, NDX , SPX

20/n update VIX term structure ... slightly in backwardation after steep contango (and complacency) earlier this year ...

21/n update VIX vs distribution ... market priced in the "buckle up warning" ...

22/n remember, even with a temporary relief rally and profit taking in bonds ... the bigger picture is bleak...

...I posted this very chart throughout the last months, H1 2019 was always in favour of rebound FED put correction rally, H2 2019 is a continuation of recession fear

23/n an overview of current Market correction / new trend as in :

• stocks / sectors / FX / Commodities % OFF 2019 peak

• Yields bp OFF 2019 HIGHS

hope you understand what I try to say here

24/n before we will have next week Global M.PMI & ISM etc data...the new WEAKening US business survey (flash M.PMI 50.6) vs what to expect for the ISM

• different participants, different weightings in the sub sectors,but BOND guys front running exactly this !

25/n ...as ISM will drop , so will FOMC be more behind the curve ...

26/n ... the 2016 rebound (China injection) and Trump great reflation hope has nearly completely faded. How is this stock bullish ? It's more like "Catch me if you can"

27/n let's compare WEAK Europe with RE-WEAKENING US. It's global, so US can't really run away and is "catching down"

28/n US vs Europe "the BOOM-PEAK-FADE" reflation hope evaporated ...

THIS leads Bondyields , and reflects a recession gauge as well...

29/n so, let's assume the German Bunds (nobody HAS to buy negative yielding bonds) is the ULTIMATE flight-to-safe-haven, as Europe falls into recession, and US follows ? US Yields falling like a stone for a reason

30/n ever lower plunging yields and flatter curves reflected in the banking sectors...

31/n and tariff "negotiations" reflected in the Auto sectors

32/n ...recession fear, refinancing risk reflected in credit spreads..

33/n ...hence implied stock indices vola VIX and VSTOXX moving higher again ... although Europe still seems mispriced IMHO

34/n ...so, the initial ECB hike theme (LOOOOL) never materialised , EURIBORs calendar spread now flat, and obviously with FED having hiked 9x plus QT, FOMC is <the> driver for all markets, will have to cut. not once, but twice.

35/n ...I mean , what the heck, even the SPX BUYBACK INDEX has rolled over !?!

36/n yes... it's all about the cost of money = INTEREST RATES.

37/n ...oh, one for fun : $TSLA ...

you can curve-fit as you want, you can draw random lines as you wish, you can moan all day long , the BOND / SPREAD / YIELD message of the Caa1 JUNKBOND was ALWAYS the same = REFINANCING RISK. That bond never really looked back.

38/n ..last but not least, a word to crops... Corn, Wheat, Rice, Soybeans

• the springflood outlook was sadly much worse for 2019 than 2018 ...

39/n ...early May rain forecast had been worrying ...

40/n ...and sadly these floods came true.

41/n and the Crop-belts for Corn, Wheat, Rice, Soybeans very much effected by the flood, led to this price surge. Not golden cross moving average, not MACD cross over ... not low vola arbitrage or skew models. It was sadly the flood. I hope everyone will be ok over there. sad.

42/END . anyways. this is the end of a End-Of-Month recap, weekly momentum. Next week Global macro Data, where my own MT and JPM Index will most likely break < 50.

Mrs Nahles resigned today. nobody cares.

Liverpool won the CL. Fantastic.

Enjoy the rest of the weekend.

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